| 摘要: | 隨著線上社群的資訊量與訊息反應快速地流入，投資者的決策往往會受到公眾情緒的影響且特別是在社群媒體的推波助瀾下(Tsapeli, Musolesi, and Tino, 2017)。根據近期金融理論的研究，已有證據證明股票市場價格受社交媒體報導的觀點和情緒影響(Li, Wang, Li, Liu, Gong, and Chen, 2014; Rao and Srivastava, 2012)。然而在行動支付市場蓬勃的發展下，了解行動支付趨勢發展、資訊反應和報酬風險的連動關係，是市場投資人值得深入探討之研究議題。因此，本研究採用Panel Data與不對稱EGARCH模型，使用總聲量、負面聲量兩個網路情緒聲量變數，探討2013年1月至2017年11月間有關行動支付之網路情緒聲量對台灣上市櫃公司報酬與風險之研究。實證發現總聲量對報酬呈正向影響，對波動大部分為正向影響；負聲量對報酬具有正向或負向影響，對波動皆為負向影響。本研究納入行動支付之網路聲量，研究結果可供投資者不同面向之投資決策依據。
With the information volume and reaction quickly inflow of online community, investors' decisions are often influenced by public sentiment, especially the rapid popularity of social media (Tsapeli, Musolesi, and Tino, 2017). According to recent studies in financial theory, there are evidences that stock prices are the opinions and emotional influenced of social media reported (Li, Wang, Li, Liu, Gong, and Chen, 2014; Rao and Srivastava, 2012). In addition, with the booming of the mobile payment market, understanding the interlinked relationship among the development of mobile payment trends, information response and return risk is a research topic worthy of further discussion by market investors. Hence, in this study utilized balance Panel Data and asymmetric EGARCH model with the total sentiment tracking and negative sentiment tracking of two Internet sentiment tracking variables to explore the effect of Internet sentiment tracking of action on related listed companies in Taiwan during 2013 to 2017. The empirical result shows that the total sentiment tracking exist positive effect on the returns and volatilities. Simultaneously, the negative sentiment tracking has different effect on the returns and negative effect on the volatilities. This study includes the Internet sentiment tracking of mobile payment. The results of analysis provides investors with different reference information when making investment decisions. |
